| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20439 |
| 来源ID | Working Paper 20439 |
| Momentum Crashes | |
| Kent Daniel; Tobias J. Moskowitz | |
| 发表日期 | 2014-08-28 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show that the low ex-ante expected returns in panic states are consistent with a conditionally high premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of momentum's mean and variance approximately doubles the alpha and Sharpe Ratio of a static momentum strategy, and is not explained by other factors. These results are robust across multiple time periods, international equity markets, and other asset classes. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20439 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578112 |
| 推荐引用方式 GB/T 7714 | Kent Daniel,Tobias J. Moskowitz. Momentum Crashes. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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